Showing 1 - 10 of 10
Persistent link: https://www.econbiz.de/10005252018
In this paper we examine the extent to which countries are converging in per capita productivity levels. We propose to use cluster analysis in order to allow for the endogenous selection of converging countries. We formally define convergence in a time series analytical context, derive the...
Persistent link: https://www.econbiz.de/10005252076
Persistent link: https://www.econbiz.de/10010839532
It is now 20 years since the publication of Engle's (1982) seminal paper, which introduced ARCH to the world. The ARCH paper had an enormous influence on both theoretical and applied econometrics, and was influential in the establishment of the discipline of Financial Econometrics. In this paper...
Persistent link: https://www.econbiz.de/10005823578
In this paper we investigate the properties of the Lagrange Multiplier (LM) test for autoregressive conditional heteroscedasticity (ARCH) and generalized ARCH (GARCH) in the presence of additive outliers (AOs). We show analytically that both the asymptotic size and power are adversely affected...
Persistent link: https://www.econbiz.de/10005764755
We introduce a multi-level smooth transition model for a panel of time series, which can be used to examine the presence of common nonlinear business cycle features across many variables. The model is positioned in between a fully pooled model, which imposes such common features, and a fully...
Persistent link: https://www.econbiz.de/10005764802
The selection of the most profitable customers in a customer database for targeted activities is often done based on observed behaviour in the past. Consequently, databases arising from the responses to, for example, direct mailings in the past are not random samples. When not all heterogeneity...
Persistent link: https://www.econbiz.de/10005764809
Due to high and low volatility periods, time series of absolute returns experience temporary level shifts which differ in length and size. In this paper we modify the basic Censored Latent Effects Autoregressive [CLEAR] model, such that it can describe and forecast the location and size of such...
Persistent link: https://www.econbiz.de/10005764862
In this paper we propose a dynamic multinomial probit model in order to estimate the long-run and short- run effects of marketing mix variables on brand choice. The latent variables, which contain the unobserved perceived utilities, follow a first-order vector error correction autoregressive...
Persistent link: https://www.econbiz.de/10005582527
Persistent link: https://www.econbiz.de/10010962234